Rally Statistics
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Rally Statistics
Measure duration, magnitude, and frequency of upward swings between swing lows and swing highs.
Select a ticker and click Compute to see rally statistics.
Computing rally statistics…
Context Engine
No active rally detected — price is not above the last confirmed swing low.
Price vs Peers
Time vs Peers
Intra-Rally Heat
Rally Maturity
Confidence
How it works
- Context Engine
- Compares the current (in-progress) rally against historical rallies that occurred under similar market conditions, using a 13-feature state vector.
- Current Price vs Peers
- Weighted percentile of the current rally return among similar rallies. Low % = room to run, high % = extended. Peer median shows the typical rally size for this context.
- Current Time vs Peers
- Weighted percentile of the current rally duration among similar rallies. Low % = still young, high % = getting old.
- Intra-Rally Heat
- Typical max drawdown within similar rallies. Shows the pullback you should expect to endure during this rally before it resumes higher.
- Rally Maturity
- Time Exhausted: % of similar rallies that had already peaked by this duration. Magnitude Exhausted: % of similar rallies with a smaller total return. Higher = more likely the top is near.
- Confidence
- Measures how many historical rallies meaningfully contribute to the analysis after similarity weighting (neff). More effective peers = higher confidence. 5 stars = 100+ effective peers, 1 star = barely enough data.
Magnitude Metrics
Distribution of all completed rally returns (%).
Definitions
- Total Rallies
- Number of distinct upward swings detected. A rally is defined as the move from a confirmed fractal swing low to the next confirmed fractal swing high (non-overlapping). A swing low requires the bar's low to be strictly lower than N bars on each side.
- Avg Return %
- Mean percentage gain across all rallies, measured from the swing low price to the swing high price.
- Median Return %
- Middle value of all rally returns when sorted. More robust than the average against extreme outliers.
- Std Dev %
- Standard deviation of rally returns. Measures how dispersed rally magnitudes are — higher values mean more variability.
- Max / Min Return %
- Largest and smallest individual rally magnitudes in the dataset.
- > 5% / > 10% / > 20%
- Percentage of total rallies whose return exceeds the given threshold. Indicates how often meaningful vs. minor rallies occur.
Duration
Distribution of rally durations (trading bars).
Definitions
- Median Bars
- Median number of trading bars a rally lasts, from swing low to swing high.
- Max / Min Bars
- Longest and shortest rally durations in trading bars.
- Median Days
- Median calendar days per rally (includes weekends/holidays).
Intra-Rally Drawdowns
Definitions
- Median Max DD %
- Median intra-rally drawdown. The typical pullback during a rally before it resumes higher.
- Worst Max DD %
- The deepest intra-rally pullback observed. Worst-case heat during any single rally.
- Shallowest DD %
- The shallowest max drawdown (closest to 0%). The smoothest, most linear rally on record.
Frequency & Efficiency
Definitions
- Rallies / Year
- Total rallies divided by data span in years. How often rallies occur on an annualized basis.
- Avg Spacing (days)
- Average calendar days between the end of one rally and the start of the next.
- Med Return / Bar
- Median return per bar. Rally return divided by duration. Measures typical rally steepness.
Distribution Shape
Definitions
- Skewness
- Measures asymmetry of rally returns. Positive = right-tail heavy (a few outsized rallies pull the average up). Negative = left-skewed (clustered toward larger values with a tail of small rallies). Zero = symmetric.
- Excess Kurtosis
- Measures tail fatness relative to a normal distribution. Positive = fatter tails (more extreme rallies than expected). Negative = thinner tails. Zero = normal-like. High values mean outlier rallies are common.
Magnitude Distribution (%)
| Percentile | Value |
|---|
Definitions
- Percentile Distribution
- Shows the rally return (%) at key percentile breakpoints. For example, P25 = 3% means 25% of all rallies returned 3% or less.
- 10th Percentile
- The smallest 10% of rallies fall below this magnitude. Represents the weakest rallies.
- 25th / 50th (Median) / 75th
- Quartile boundaries. The 50th percentile is the median rally return — half of all rallies are above, half below.
- 90th Percentile
- Only 10% of rallies exceed this magnitude. Represents exceptional, outsized moves.
Duration Distribution (bars)
| Percentile | Value |
|---|
Definitions
- Percentile Distribution
- Shows rally duration (in trading bars) at key percentile breakpoints. Helps set realistic time expectations for how long rallies typically last.
- 10th Percentile
- The shortest 10% of rallies last fewer bars than this. Represents very brief, sharp moves.
- 50th (Median)
- The typical rally duration — half last longer, half shorter.
- 90th Percentile
- Only 10% of rallies last longer than this. Represents extended, sustained moves.
Drawdown Distribution (%)
| Percentile | Value |
|---|
Definitions
- Max Intra-Rally Drawdown
- The deepest pullback from a running high within each rally. All values are negative (or zero for perfectly linear rallies).
- 10th Percentile
- The deepest 10% of intra-rally drawdowns exceed this. Represents the choppiest rallies.
- 50th (Median)
- The typical intra-rally drawdown — half of rallies pulled back more, half less.
- 90th Percentile
- 90% of rallies had a max drawdown deeper than this. The smoothest rallies.
Individual Rallies
Column Definitions
- Start / End
- Date of the swing low (rally start) and swing high (rally peak).
- Start $ / End $
- Split-adjusted price at the swing low and swing high.
- Return %
- Percentage gain from the swing low price to the swing high price: (End - Start) / Start × 100.
- Bars / Days
- Rally duration in trading bars and calendar days respectively.
- Vol
- Volatility during the rally — standard deviation of daily returns within the rally window. Lower = smoother rally.
- Ret/Bar
- Return per bar — rally return divided by its duration in bars. Measures rally steepness/efficiency.
- Dist 200MA
- Distance from the 200-day EMA at the rally peak, as a percentage. Positive = price above the 200MA at the top.
- Prev DD %
- Preceding drawdown — percentage decline from the prior swing high to this rally's swing low. Shows how deep the pullback was before this rally began.
- Max DD %
- Maximum intra-rally drawdown — the deepest pullback from a running high during this rally. More negative = choppier rally with bigger pullbacks.
- Spacing
- Calendar days between the end of the previous rally and the start of this one. Measures how long the market was "not rallying" in between.
| # | Start | End | Start $ | End $ | Return % | Bars | Days | Vol | Ret/Bar | Dist 200MA | Prev DD % | Max DD % | Spacing |
|---|
Backtest coming soon.